The aim of this paper is to investigate risk price sensitivity to interest rate changes in the Spanish Market and to test if it is lower than that of Government debt.
The sensitivity of risky prices to interest rate changes through effective duration and convexity is analyzed to test this hypothesis. The most relevant contribution of the paper is the possibility of determining the risk price sensitivity to risk-free interest rate changes in the Spanish market, and the development of a conditional volatility model that provides better results than lineal models with fixed variance.

Key words: risk duration, convexity, fixed income risk, interest rate risk and default risk.
JEL classification: G19, E43.